reuters datalink

Discussions about the testing and simulation of mechanical trading systems using historical data and other methods. Trading Blox Customers should post Trading Blox specific questions in the Customer Support forum.
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budonk
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reuters datalink

Post by budonk » Thu Nov 18, 2004 2:31 pm

since oowdg never came through, i was looking for a cheap alternative and i subscribed to reuters datalink ($25/month) because they included a ton of contracts(>200) and entire history for each. unfortunately, they only allow roll on expiration, although they have the files for the next contract out. i was hoping this wouldn't cause too much discrepancies, but basically it was useless in its current form with tons of weird gaps and such.

probably biting the bullet and moving on to CSI or pinnacle...

d-g
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Post by d-g » Thu Nov 18, 2004 4:25 pm

Has anyone with Reuters discovered other means of specifying contract rolling criteria?

I am finding it hard to believe that a large and popular vendor would not make rolling on open interest, or a specified date, or multiple triggers possible. From what my customer is seeing it seems only to roll on date, and then only on the FINAL day of the contract, meaning the actual volume in the contract is totally dead and the data is choppy over the last week before it rolls.

Any info appreciated.

PruBear
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Post by PruBear » Sat Nov 20, 2004 6:11 am

Reuters EOD data is crappola imho. It only rolls on expiration. There's no way that I know of around this with continuous contracts b/c there is no data for the next contract until exp so you can't write a script to manually roll it on OI or some other trigger.

If you want to invest some time, I think you can build a database by individually downloading the data from each front month contract for each market for the life of the data series and then jerry-rigging them together. Phew! It can be done, but you may have to take time off from work.

If you want to invest some $$, I think you can trigger roll when you want if you subscribe to their realtime intraday datafeed. $$$$

If this makes you feel :evil: :evil: :evil: :!: , then you might consider sending them an angry e-mail.[/i]

d-g
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Post by d-g » Sat Nov 20, 2004 12:36 pm

Well, the issue is that is pretty much makes their data next to worthless for actual testing and trading, because nobody rolls on the last possible day of a contract, all the action has moved by then.

Part of what you pay for with a data service should be the flexibility to roll contracts as you see fit.

I didn't think it was possible that such a major vendor would produce data like this, I guess I will just have to recommend people use other providers in the future if possible.

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